论银行市场风险的资本计提--兼评内部模型法的适用性

Capital Cushion to Banking’s Market Risk

市场风险及其监管资本要求的计量历来为业界和监管当局所关注。近期,次贷危机爆发导致的市场动荡使得全球银行业和监管当局开始重新审视其市场风险管理和监管资本要求。文章结合国际银行业和监管机构计量市场风险及其监管资本要求的当前做法,针对我国银行业的实际情况,重点探索了内部模型法在我国银行业的适用性,尤其是从方法论、特殊风险计量、验证等角度探讨了内部模型法的主要工具——风险价值体系在我国银行业计量市场风险及其监管资本要求的适用性,并从方法论和应用层面提出了相应的政策建议。

Banking industry and regulatory institutes always pay attention to market risk and its regulatory capital requirement. Due to subprime crisis and derived global market turmoil, banking industry and regulatory institutes began to review global market management and its regulatory capital requirement. In this paper, it explores the utilization of internal model approach, especially Value at Risk （VaR） , for China banking industry, from the perspective of VaR measurement of special risk and VaR validation, based on real situation of China banking industry and international practice of global banking industry. It proposes some policy advices for measurement methodology and utilization of VaR in China banking industry.